This article investigates the association between students' self-related cognition and mathematics performance in Hong Kong, a region that has excelled in mathematics performance in previous international studies. The five constructs of self-related cognition are: self-concept, self-efficacy, interest and enjoyment, instrumental motivation, and anxiety. The data were obtained from the second cycle of the Programme for International Student Assessment (PISA), an international assessment measuring the performance of 15-year-old students from over 40 countries/regions around the world. Multilevel analysis was used to examine the relationship between self-related cognition and mathematics performance. The study found that self-efficacy and self-concept were significantly associated with mathematics performance even after controlling background factors of both students and schools. High level of mathematics anxiety might not have direct effect on mathematics achievement; however, it might reduce the self-concept and self-efficacy of girls, which in turn, might affect their mathematics performance.